SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS (Q5061497): Difference between revisions

@@ Property / arXiv ID @@
+.08738
@@ Property / arXiv ID: 2109.08738 / rank @@
+Normal rank
@@ Property / cites work @@
+Multi-precision Laplace transform inversion
@@ Property / cites work: Multi-precision Laplace transform inversion / rank @@
+Normal rank
@@ Property / cites work @@
+The Fourier-series method for inverting transforms of probability distributions
+Normal rank
@@ Property / cites work @@
+Numerical inversion of probability generating functions
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Feller processes of normal inverse Gaussian type
@@ Property / cites work: Feller processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+PRICES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS, NEAR BARRIER
+Normal rank
@@ Property / cites work @@
+PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS
+Normal rank
@@ Property / cites work @@
+VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES
+Normal rank
@@ Property / cites work @@
+Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
+Normal rank
@@ Property / cites work @@
+OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
@@ Property / cites work: OPTION PRICING FOR TRUNCATED LÉVY PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Q4331490
@@ Property / cites work: Q4331490 / rank @@
+Normal rank
@@ Property / cites work @@
+EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS
+Normal rank
@@ Property / cites work @@
+EFFICIENT PRICING OF BARRIER OPTIONS AND CREDIT DEFAULT SWAPS IN LÉVY MODELS WITH STOCHASTIC INTEREST RATE
+Normal rank
@@ Property / cites work @@
+SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS
+Normal rank
@@ Property / cites work @@
+Conformal accelerations method and efficient evaluation of stable distributions
+Normal rank
@@ Property / cites work @@
+Static and semistatic hedging as contrarian or conformist bets
+Normal rank
@@ Property / cites work @@
+Q4838168
@@ Property / cites work: Q4838168 / rank @@
+Normal rank
@@ Property / cites work @@
+Saddlepoint methods for option pricing
@@ Property / cites work: Saddlepoint methods for option pricing / rank @@
+Normal rank
@@ Property / cites work @@
+An introduction to frames and Riesz bases
@@ Property / cites work: An introduction to frames and Riesz bases / rank @@
+Normal rank
@@ Property / cites work @@
+Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
+Normal rank
@@ Property / cites work @@
+A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
+Normal rank
@@ Property / cites work @@
+A data-driven framework for consistent financial valuation and risk measurement
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Fourier integral operators
@@ Property / cites work: Fourier integral operators / rank @@
+Normal rank
@@ Property / cites work @@
+Q3907885
@@ Property / cites work: Q3907885 / rank @@
+Normal rank
@@ Property / cites work @@
+A fast algorithm for computing integrals in function spaces: Financial applications
+Normal rank
@@ Property / cites work @@
+A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions
+Normal rank
@@ Property / cites work @@
+Q3782170
@@ Property / cites work: Q3782170 / rank @@
+Normal rank
@@ Property / cites work @@
+PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
+Normal rank
@@ Property / cites work @@
+An exact analytical solution for discrete barrier options
+Normal rank
@@ Property / cites work @@
+Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
+Normal rank
@@ Property / cites work @@
+Q4230520
@@ Property / cites work: Q4230520 / rank @@
+Normal rank
@@ Property / cites work @@
+A basis theory primer.
@@ Property / cites work: A basis theory primer. / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q3736112
@@ Property / cites work: Q3736112 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing discrete barrier options and credit default swaps under Lévy processes
+Normal rank
@@ Property / cites work @@
+Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
+Normal rank
@@ Property / cites work @@
+An Efficient Transform Method for Asian Option Pricing
+Normal rank
@@ Property / cites work @@
+Robust barrier option pricing by frame projection under exponential Lévy dynamics
+Normal rank
@@ Property / cites work @@
+Static hedging and pricing of exotic options with payoff frames
+Normal rank
@@ Property / cites work @@
+SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION
+Normal rank
@@ Property / cites work @@
+A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
+Normal rank
@@ Property / cites work @@
+An analysis of dollar cost averaging and market timing investment strategies
+Normal rank
@@ Property / cites work @@
+Equity-linked guaranteed minimum death benefits with dollar cost averaging
+Normal rank
@@ Property / cites work @@
+Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
+Normal rank
@@ Property / cites work @@
+Meromorphic Lévy processes and their fluctuation identities
+Normal rank
@@ Property / cites work @@
+Q4273988
@@ Property / cites work: Q4273988 / rank @@
+Normal rank
@@ Property / cites work @@
+Early exercise boundary and option prices in Lévy driven models
+Normal rank
@@ Property / cites work @@
+PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES
@@ Property / cites work: PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+EFFICIENT PRICING AND RELIABLE CALIBRATION IN THE HESTON MODEL
+Normal rank
@@ Property / cites work @@
+METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES
+Normal rank
@@ Property / cites work @@
+Pitfalls of the Fourier Transform Method in Affine Models, and Remedies
+Normal rank
@@ Property / cites work @@
+Pricing Arithmetic Asian Options Under Lévy Models by Backward Induction in the Dual Space
+Normal rank
@@ Property / cites work @@
+A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection
+Normal rank
@@ Property / cites work @@
+Q3139836
@@ Property / cites work: Q3139836 / rank @@
+Normal rank
@@ Property / cites work @@
+Summary of Sinc numerical methods
@@ Property / cites work: Summary of Sinc numerical methods / rank @@
+Normal rank
@@ Property / cites work @@
+On the approximation power of convolution-based least squares versus interpolation
+Normal rank
@@ Property / cites work @@
+Computing the Gerber–Shiu function by frame duality projection
+Normal rank
@@ Property / cites work @@
+Q3955832
@@ Property / cites work: Q3955832 / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing equity-linked death benefits in general exponential Lévy models
+Normal rank
@@ Property / OpenAlex ID @@
+W3216044663
@@ Property / OpenAlex ID: W3216044663 / rank @@
+Normal rank